TSI Special Training on Securitisation: An overview over the key legal and regulatory require-ments as well as rating agency criteria and ECB repo requirements Securitisation is a hot topic. In the case of public transactions, there has been a distinct improvement in the market in recent years and securitisation of loan portfolios to obtain refinancing from the ECB continues to play an important role for banks. Today, there is virtually no other capital market segment that is as tightly regulated as securitisation. Under CRD II and CRD III new requirements were added and CRR/CRD IV confronts banks with new tasks. In addition, with regard to the ECB’s repo criteria, banks are having to deal with far new challenges in connection with the European Data Warehouse. All these changes affect not only securitisation departments but also related departments such as risk management, accounting, law, reporting, lending, controlling, compliance and auditing. For all it‘s im-portant to be familiar with the topic area. That is the only sure way of keeping quality products and ne-gative developments apart. It is the only way of ensuring that staff are able to make sound, appropriate assessments of application possibilities and operating mechanisms and the risks and opportunities entailed. TSI’s comprehensive training in this field has already proved its worth several times over.

The main topics covered in the TSI Special Training: Market overview

Important structural features

Different asset classes with their specific characteristics, opportunities and risks Term and conduit securitisations Special features of leasing and trade receivables securitisations

Performance of securitisation transactions in the financial crisis

Overview over the underlying civil law aspects and regulatory requirements for securitisations

Regulatory distinction between securitisations and other case configurations

Performance analysis and rating from the perspective of rating agencies and investors

Current ECB repo requirements

Wednesday, 18 September 2013

8.30–18.00

and

Thursday, 19 September 2013

9.00–19.00*

mainhaus Stadthotel Frankfurt

Lange Straße 26

60311 Frankfurt am Main

Germany

*inclusive IAA-visit

Programme Wednesday, 18 September 2013

8.30-8.45 Registration and coffee

8.45-9.00 Welcome by TSI

9.00-10.00 The securitisation market: fundamentals and overview Robert O. Froitzheim, Deutsche Bank Privat- und Geschäftskunden Basic ABS/MBS structures: true sale and synthetic securitisations

Asset classes and more enhanced structural elements

Considerations on economics

Market overview on Europe ABS market

10.00-11.00 Securitisations: methodology and modus operandi of rating agencies

Susanne Matern, Fitch Ratings

Rating methods

Transaction monitoring and rating development

11.00-11.30 Coffee

11.30-12.15 Overview of the underlying civil law conditions Dr Dietmar Helms, Baker & McKenzie

True sale requirements

Fiduciary structures and the opportunities of the German refinancing register

12.15-13.15 Case study: Securitisation of leasing and trade receivables, taking specific examples Stefan Ziese, Commerzbank

Transaction structures

Motivation of the originator

Criteria that must be fulfilled by the originator

Implementation planning

Legal requirements

13.15 -14.45 Lunch

14.45-15.45 Case study: Volkswagen’s Driver transactions Rolf Glockenmeier, Volkswagen Financial Services

Transaction structures

Investor reports

Success factors

15.45-16.15 Coffee

Wednesday, 18 September 2013 (continued)

16.15-17.15 Recent provisions under CRD II, CRD III and CRD IV Dr Oliver Kronat, Clifford Chance

Risk retention

Due diligence obligations and reporting

Considerations relating to ABCP

17.15-17.55 Regulatory distinction between securitisations and other case configurations Dr Klaus Lackhoff, Freshfields Bruckhaus Deringer Securitisation characteristics

Distinction from special financing operations

Tranched bonds

Tranched cover

Ab 17.55 Visit to the Maintower panorama terrace

Thursday, 19 September 2013

9.00-9.50 Using securisation as a capital management tool - regulatory aspects Ulf Kreppel, Jones Day

The journey into (supervisory) space

Overview of the fundamental regulatory principles for securitisations

Standardised vs. internal-based approach - the differences

The features of the internal assessment approach (IAA)

Using securitisation as a capital management tool - by way of example

9.50-10.40 Accounting treatment of securitisation transactions Ulrich Lotz, Deloitte

The fundamentals of recognition, derecognition, measurement, and consolidation

SPV consolidation according to HGB and IFRS

Measurement: mark-to-market vs. mark-to-model

10.40-11.10 Coffee

11.10-12.00 ABS since 2007 – performance, experience and current product developments Dr Christian Peter, KfW Bankengruppe Performance evaluation methods for ABS

ABS performance since 2007

Reaction to recent experience – current product considerations

12.00-13.30 Lunch

Thursday, 19 September 2013 (continued)

13.30-14.20 ABS from the view of an investor: What do investors need to evaluate securitisation transactions? Brian McCarthy, Deka Investment Analysis of offering circulars, rating reports, deal reviews

Risk clusters, identifying risk drivers

Multidimensional due diligence, fundamental analysis

Transparency requirements and reporting standards

Relevance of obtaining additional information, due diligence

Applied risk management instruments and strategies

Assessment and prognosis risks in modelling

14.20-14.45 Coffee

14.45-15.30 The Eurosystem’s security framework – overview and ABS-specific regulations Sebastian Weber, Deutsche Bundesbank How should the rules be understood in general?

What significance do ABS have as collateral in ECB bank financing?

What is required of transaction structures?

How is the approval procedure structured?

What does the loan-level data project look like?

What are the ECB requirements in that respect and what is the implementation plan?

16.00-19.00 Visit of the IAA. The worlds most famous automobile show invited by

Speakers Wednesday, 18 September 2013

Robert O. Froitzheim is a Director in the department Securitization Risk-/Portfolioma-

nagement of Deutsche Bank Private & Business Clients in Frankfurt. He holds an MBA

of University of Cologne Köln. After career start with Sal. Oppenheim followed stays in

DB at Futures & Options and Business Development for Corporate Clients, since 1997

with Credit Portfolio Management for Corporate and Private Clients and participation

in portfolio transactions (Public and Private Placements) with initial volume of EUR

92bn.

Rolf Glockenmeier joined Volkswagen Financial Services AG in 2004 and, while there,

completed a dual degree programme in business administration with the primary fo-

cus on finance. He then became a member of the ABS Operations team, where he was

responsible for the processing of ABS transactions and the maintenance and further

development of the related IT system. Since 2009 he has been working on the structu-

ring of national and international ABS transactions at Volkswagen Financial Services

AG.

Dr Dietmar Helms is a lawyer working in the field of banking law. He specialises in

structured finance and asset backed securitisations. He is a member of the German

Banking & Finance Group and counsels banks and major enterprises on matters of

banking, company and capital market law. Dr Helms focuses on the areas of securiti-

sation and structured finance, general banking and finance law, acquisition financing,

project financing, derivatives and financial products.

Every participant recieves aTSI certificate

Dr Oliver Kronat is partner in the Frankfurt office of Clifford Chance an specializes in

advising on German and international structured finance transactions. His experience

includes the securitisation of trade,consumer,leasing and loan receivables and the es-

tablishment of ABCP Conduit Programmes. He also advises on the restructuring of se-

curitization and other structured finance transactions as well as on securitisations by

insolvent companies. He is a member of the TSI Securitisation Forum (Verbriefungsfo-

rum) and was involved in the commenting by TSI on significant draft bills (including the

Risk Limitation Act (Risikobegrenzungsgesetz), the Debenture Act (Schuldverschrei-

bungsgesetz) and the implementation of CRD II and III)into German law. Oliver Kronat

is also admitted as tax advisor.

Dr Klaus Lackhoff joined Freshfields Bruckhaus Deringer in 1999 and works as a counsel in the Frankfurt office. As a member of the finance and corporate practice groups he specialises in banking regulatory, banking law, structured and asset finan-ce (inter alia ABS transactions) as well as equity capital market transactions. In the financial crisis he was also involved in bank restructuring transactions and worked on

matters of the European sovereign debt crisis.

Susanne Matern, Senior Director, heads Fitch Ratings’ Frankfurt European structured

finance team and its Frankfurt covered bonds team. She is a CFA charterholder. The

Frankfurt teams focus on the rating analysis of structured finance transactions and co-

vered bond programs issued out of Germany, Austria and Switzerland as well as cove-

red bond programs from Central and Eastern Europe. Susanne has a broad background

in banking and financial analysis, covering all asset classes and is also the author of

criteria pieces, transaction and special reports.

Stefan Ziese is responsible for the Securitisation business of Commerzbank with

clients, including the Multiseller-Conduit Silver Tower. Since December 2004 he had

been Head of Debt Principal Finance & Securitisation of Dresdner Kleinwort in Frank-

furt, and from April 2002 – March 2005 he headed the securitisation team of Dresdner

Kleinwort in New York. Stefan Ziese has been working for Dresdner Bank since 1992,

started as credit analyst, continued as auditor, later head of mission in the audit divi-

sion, responsible for various national and international projects. Stefan Ziese studied

and taught at the Free University of Berlin, the University of Minnesota (Minneapolis,

MN) as well as the Woodrow Wilson International Center for Scholars (Washington,

DC) and the John F. Kennedy School of Government, Harvard University (Cambridge,

MA).

Thursday, 19 September 2013

Ulf Kreppel is a Partner at Jones Day in the Banking & Finance department. His main

advisory fields are structured finance, securitisation, asset based lending, restructu-

ring, supervisory law and derivatives. His clients include national and international fi-

nancial institutions, financial and insurance companies and private equity companies.

In addition to the traditional asset classes, such as real estate loans, trade and lease

receivables and consumer loans, Ulf Kreppel has extensive expertise in a number of

innovative asset classes, including, for example, life insurance policies and student

loans. In the field of structured covered bonds, Ulf Kreppel has recently advised in

several refinancing transactions. Within the German True Sale Initiative, Mr Kreppel

provides regular advice on planned new legislation, recently in connection with CRD

IV. In the German financial market Mr Kreppel is frequently recommended as an ad-

viser.

Ulrich Lotz, Deloitte & Touche GmbH Wirtschaftsprüfungsgesellschaft. Ulrich Lotz is a

Partner at Deloitte and head of Deloitte Germany’s Securitisation Services, which sup-

ports investors, issuers, and arrangers of German and European securitisations and

other structured finance transactions. His expertise from more than 200 transactions

covers accounting (HGB/IFRS/US GAAP), regulatory, and tax issues, pool audits, SPV

audits, the monitoring of transactions as trustee or independent accountant, OC work,

as well as other assurance and advisory services (e. g., with regard to reporting, struc-

turing, cash flow and pool analyses).

Brian McCarthy joined Deka Investment in 1999 as a multi-asset portfolio manager and

has specialized in Asset Backed Securities (ABS) since 2002. Since 2007, he has hea-

ded a team of 4 professionals responsible for managing over €650 million of European

ABS in various mutual funds and dedicated accounts with a variety of risk and return

profiles. His team covers all European ABS classes and invests in all parts of the capital

structure.

Before joining Deka, Mr. McCarthy worked as a sell side researcher for Nikoil Invest-

ment Bank in Moscow and as a currency analyst at Ruesch International in Washington.

He holds a Master‘s Degree in International Economics from Johns Hopkins University

and is a CFA charterholder.

Dr Christian Peter joined KfW Bankengruppe in 2002. His team is responsible for in-

vestments in securitization products which match the bank’s promotional objectives.

Prior to that Christian worked several years in the securitization as well as the risk

controlling department, i. a. covering quantitative modeling/ analysis as well as regu-

latory topics. Christian holds a Diploma in Business Engineering and a PhD from the

University of Karlsruhe.

Sebastian Weber works in the Markets Department at the Deutsche Bundesbank. Sin-

ce 2010 he has been in charge of policy matters regarding the security framework of

the Eurosystem and its operational implementation. His work thus covers the analysis

of securitised bonds and his particular field of interest is the testing of ABS for cen-

tral bank eligibility and the further development of the related central bank eligibility

criteria. Mr Weber studied economics at the University of Hohenheim (Germany) and

Fairfield University (USA).

Further informations

How to reach usThe mainhaus Stadthotel Frankfurt is centrally located, at the Allerheiligentor in Frankfurt’s Ostend,

which is only a few minutes from the city centre and the main shopping street, the Zeil.

There are good connections to the main railway station, the trade fair and the airport from the nearby

S-Bahn station. Many places of interest, such as the Römer, the Paulskirche and the Museumsufer, are

within walking distance. The Hanauer Landstrasse (the future site of the European Central Bank (ECB))

and the Frankfurt Zoo are also easily reached.

From the airport

From Terminal 1, take S-Bahn 8 or 9 in the direction of Hanau. Leave the train at the station “Ostend-

straße” (seventh stop). Take the exit labelled “Hanauer Landstraße/Allerheiligen Tor”. The mainhaus

Stadthotel Frankfurt is some 100 metres straight ahead.

From the main railway stationTake any S-Bahn travelling to the city centre (Stadtmitte/City). The “Ostendstraße” is the fourth stop.

Take the exit labelled “Hanauer Landstraße/Allerheiligen Tor”. The mainhaus Stadthotel Frankfurt is

some 100 metres straight ahead. Alternatively, from the railway forecourt you can take tram 11 in the

direction of “Fechenheim/Schießhüttenstraße”. There are six stops to the Allerheiligentor. The tram

stops next to the hotel.

Lange Str.

Lange Str.

mainhaus Stadthotel Frankfurt

Lange Straße 26

60311 Frankfurt am Main

Germany

Contact person

Evelyne Denis

True Sale International GmbH

Mainzer Landstraße 51

60329 Frankfurt am Main

Germany

Tel: +49 (0)69 2992-1744

Fax: +49 (0)69 2992-1717

evelyne.denis@tsi-gmbh.de

Registration

By Fax to 069 2992-1717 Yes, I would like to take part in the TSI Special Training on Securitisation “An overview

over the key legal and regulatory requirements as well as rating agency criteria and ECB repo requirements” on 18 and 19 September 2013 in Frankfurt am Main, Germany.

with overnight accommodation without overnight accommodation (hotel reservations will be made by TSI)

The fee for attending the two-day training seminar excluding overnight accommodation but inclu-ding lunch, refreshments and seminar documents is EUR 1,415 plus VAT (for bookings including overnight accommodation EUR 1,640 plus VAT). A 10% reduction is offered if at least two training seminars are booked at the same time or if two participants register together. TSI Partners will be given a EUR 400 discount. Registration is final. Once your registration has been received, you will receive a letter of confirmation and an invoice. The full attendance fee will be charged for cancellations received in the last 14 days before the start of the seminar. The same applies to non-attendance. A replacement participant may, of course, be sent.

I would like to take part in the visit to the Maintower panorama terrace.

I would like to take part in the visit of the IAA

Dr/Mr/Ms/Title/Firstname/Surname

Company

Position Department

Street Postcode and city

Tel/Fax

Email

Place, date Signature

Address for invoice (if different from above)

Please complete the form and fax it to +49 69 2992 1717

or send it by post to True Sale International GmbH,

Mainzer Landstrasse 51, 60329 Frankfurt am Main,

Germany. Many thanks!